We consider a common components model for multivariate fractional cointegration, in which the s cedil; 1 components have different memory parameters. The cointegrating rank is allowed to exceed 1. The true cointegrating vectors can be decomposed into orthogonal fractional cointegrating subspaces...

We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator(NBLSE) of the cointegration parameter Atilde;ƒAcirc;ŽAtilde;‚Acirc;² in the framework of fractional cointegration.This tapered estimator is invariant to deterministic polynomial trends. In particular,...

We propose and derive the asymptotic distribution of a tapered narrow-band least squaresestimator (NBLSE) of the cointegration parameter Icirc;² in the framework of fractional cointegration. Thistapered estimator is invariant to deterministic polynomial trends. In particular, we allow for...